Testing for a Markov-Switching Mean in Serially Correlated Data

DOI10.1007/978-1-4614-8060-0_5zbMath1407.62303OpenAlexW105643859MaRDI QIDQ4561858

Zohra Rabah, James C. Morley

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_5

zbMATH Keywords

autoregressive processesMarkov switchingparametric bootstrapnonlinearity testsreal GDP dynamics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02)

Cites Work

• Testing for linearity in Markov switching models: a bootstrap approach
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP

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